Recent content by bbt80

I got your point. But simulating my own orders is not important at this point (let alone estimate their impact). From a practical point of view maybe it's useless too, although I'm not a trader. I have a database with all the market activity for a single instrument, including the brokers id...

Thanks! As I'm not an expert programmer, I'd like to save some time starting with an engine (just an efficient order matching algorithm). There're a lot of them on github and the idea is simple. I just want to get the best I can for free. So, no trading strategies involved. With respect to the...

My initial concern is with exploratory data analysis and simple simulations. In this way, the impact would be zero at first. Later on I would adopt a zero-intelligence model. Just an example: after the aggressive order (of small size), the book could be randomly recompleted following some...

Hello, I'm studying HFT strategies, market makers algorithms and trading algorithms for specific goals (like minimization of overall transaction costs). So I'm creating a database of Level II quotes (initially from a single instrument) and need a way to run simulations of the order book, send...

I'll elaborate on that as soon as I finish reading a couple of papers: I'll give you an example of FX Futures contracts that "drive" (in a very specific manner) spot prices. Unfortunately every paper I know about this stuff is in Portuguese. I'm aware of "tape reading" trading strategies that...

Maybe I chose poorly my words. I really don't know how common is that: financial instruments whose spot prices are determined by its derivatives ("the tail wags the dog"), for historical reasons.

Thank you! The microstructure I'm really interested is a very unique one (not covered in any book I know). But I need the general concepts in order to write a meaningful paper.

Those takeaways were insightful. But the "anyone can become an expert in quant finance" motto have always amused me.

Thank you very much for sharing this! I'll certainly take a look.

My idea is to start from the order book and find a niche between HFT/market makers and lower frequency strategies. The order book in Brazil is "open" and "centralized" (not blind and fragmented like in the US), so you have another dimension to take into account. For instance, you can choose to...

I'm new here, so I'm not able to make any fair comparison. I just thought that It'd be nice to write more freely in one place, and then summarize the ideas/results in another. Both forums are great.

I've initiated a thread like this one on futures.io. I intend to update my progress here less frequently, but more concisely. I do want to count on the valuable ideas of colleagues on this forum.

Starting from the beginning

Today I started to negotiate with a vendor the acquisition of market data. I'll have to start my own database, as there's no historical data available. "Almost nobody ask for this", they said. It feels like I'm buying rubbish. The book is noisy and probably useless 99% of the time. At first...